It would help to know what you have tried. Are you lactose intolerant?
Some protein powders are meant to be absorbed quickly--for example, whey protein isolate. That's what I use most of the time. Other protein powders are designed for a longer-release effect--for example, BSN's Syntha-6. I tried this product (costly as it is) for a pre-workout shake and also for a pre-bed shake. However, I felt bloated and decided to stop drinking it.
The powders that are absorbed more quickly might also be easier for you to digest--just a guess.
If you have the patience and the budget, you might want to buy your protein and carbs separately and mix them in the right ratios for the application at hand. I mix two parts protein to one part carb (dextrose) before my workouts and invert the raio for post-workout shakes.